Determinants of Structured Finance Issuance

8/6/2019 Determinants of Structured Finance Issuance

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Determinants of Structured Finance Issuance A Cross-

Country Comparison

Sebastian A. Schuetz*

This version: February 2011

Especially structured finance instruments were blamed as main reason for the financial

crisis 2007, but the understanding for the motivation to originate securitization products is

less discovered. Therefor this paper tries to identify main balance sheet characteristics of

structured finance originators. We investigate balance sheet figures for the 250 largest

banks in each Europe, Germany and USA between 1994-2009. We identified different main

reasons for the banks in each region to securiti e that are in line with observable behavior


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reasons for the banks in each region to securitize that are in line with observable behavior

Contents

Abbreviations ......................................................................................................................... 3

Figures and Tables ............................................................................................................... 3

1 Introduction ......................................................................................................................... 4

2 Literature ............................................................................................................................. 6

3 Microeconomics of securitization..................................................................................... 7

4 Methodology ..................................................................................................................... 13

4.1 The investigated sample.......................................................................................... 13

4.2 Balance sheet indicators ......................................................................................... 14

5 Balance Sheet Analysis .................................................................................................. 17

5.1 Empirical findings for Germany, Europe and USA .............................................. 17

5.2 Conclusion ................................................................................................................. 19

6 Summary ........................................................................................................................... 20

Bibliography ......................................................................................................................... 22

Appendix ............................................................................................................................... 23


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AbbreviationsABS Asset Backed Securities

MBS Mortgage Backed Securities

CDO Collateralized Debt Obligation

CMBS Commercial Mortgage Backed Securities

CRA Credit Rating Agency

ROA Return on Assets

ROE Return on Equity

US-TALF US Term-Asset Backed Securities Loan Facility

Figures and TablesFi 1 O i i t di iti ti ti ti


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1 IntroductionIn Schuetz (2010) the US structured finance issuance is analyzed. There are

clear differences in the issuance of different structured finance instruments.

For example the US ABS issuance has normal growth rates for nearly all

instruments but home equity loan ABS. With a growth of more than 650% in

six years the home equity loan ABS issuance shows that one through moral

hazard behavior supported instrument could build up disreputability for a

whole class of structured finance instruments. That lead to market illiquidity

and therewith to book losses of even faultless securitization tranches. Similar

stories could also be found for MBS and CDOs. The European structured

finance market which was as illiquid as the other worldwide securitization

markets, demonstrates that the facts offer other insights than the market and

the international policy tell. Securitization is much better than its reputation.

There are lots of structured finance tranches that perform well, with no

do ngrades no defa lts and stable o tlook from credit rating agencies that


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overcollateralization. Nevertheless, many investors were under pressure and

sold the ABS tranches for a fraction amount of its fundamental value.Calculations of the DZ Bank show that the cumulative default rate of

European ABS tranches since the beginning of the subprime crisis is 0.86%.

Customer-related ABS show a lower default rate with 0.1%. Structured

finance instruments with riskier underlyings like CMBS or CDOs are on a

higher level with 2.7% respectively 2.5%. But the performance is much better

than the performance of corporate bonds! Anyhow, it is understandable that

worldwide administrations call for a more restrictive regulation of the financial

system, especially for securitization in consideration of the massive bailouts.

But new regulatory approaches like the collection of loan level data, which

are considered as solution for lacks in regulatory frameworks, will not prevent

any crisis in the future. Loan level data and quantitative tools were available

for the US ABS market before the subprime crisis and did not prevent it.

These tools and data did not substitute common sense. Most of the new

regulations proposed in Basel III are laid down principles of the behavior of a

careful and honorable merchant.


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securitization as the result of a banks refinancing optimization problem. In

Section 4 the methodology and the indicators of the empirical analysis areexplained. In Section 5 the results obtained from the empirical balance sheet

analysis are discussed. Section 6 summarizes the paper.

2 Literature

In a world of perfect capital markets, repackaging of loans like in structuredfinance instruments would be irrelevant. Because this is at odds with the

unprecedented growth in the securitization market, DeMarzo (2005)

developed a rational equilibrium model that is consistent with a lot of stylized

facts about structured finance. The paper focused on the impact of

asymmetric information and extended the security design model of DeMarzoand Duffie (1999) and the signaling model of Leland and Pyle (1977).

Bernardo and Cornell (1997) analyzed a MBS auction and showed that even

if all investors are highly sophisticated market participants, the winning bid

exceeded the median bid by over 17% on average. DeMarzo (2005) traced

thi b k t th f t th t j i t t b k h i bilit t


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securitizations could be found. There are four motivations of securitization

noted in the literature that we also find in the BearingPoint securitizationsurvey (2009). Recent empirical studies like Agostino and Mazzuca (2008)

argued that securitization is used as funding tool. This goal could be mainly

achieved via true sale transactions that transfer the credit risk and remove

the assets from the banks balance sheet. Gorton and Pennacchi (1995)

mentioned that with true sale transactions also balance sheet policy is

possible e.g. to improve ratios. Minton, Sanders and Strahan (2004) and

Bannier and Hnsel (2008) came to the result that structured finance

transactions are mainly used as risk-transfer instrument of illiquid and risky

assets. Uzun and Webb (2007) and Ambrose, Lacour-Little and Sanders

(2005) mentioned among others that securitization is used as arbitrage-tool

of regulatory capital and to reduce the banks capital requirements. Even if

there were greater possibilities of regulatory arbitrage under the Basel I

framework, there were still possibilities under Basel II. It became more

difficult to verify regulatory capital arbitrage as the main motivation, but it

should not be neglected because this goal is achievable both with true sale


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Gorton and Pennacchi (1995) and De Marzo (2005) are mainly based on

incentive compatibility.

This is a question of optimal contract design to prevent moral hazard

behavior. The idea why securitization was developed was the transformation

of illiquid into liquid assets. Thereby different goals could be achieved that

are still valid today after the subprime crisis. Securitization could be one

instrument to provide liquidity in the refinancing mix of a bank. Illiquid assets

like credits or receivables could be transformed into transferable assets. With

this transformation the bank could also do better risk management. With

synthetic structures a simple risk mitigation is possible with securitized loans

still on the own balance sheet. Independently if the bank act as originator or

investor with trading of securitization a better maturity matching of the

portfolio is possible. But also true sales are possible that affect the use of

regulatory capital and the control of balance sheet ratios. Two advantages

could also be accessible for a bank: the rating of the securitization tranches

is independent of the originator and could lead to a higher rating of the

d l i th t h t h l i ibl i li id k t


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Figure 1 Originator survey regarding securitization motivationon the basis of Bearingpoint (2009)

Empirical studies like Agostino and Mazzuca (2008) and Martin-Oliver andSaurina (2007) confirmed the findings with a balance sheet analysis similar to

the approach in this paper and showed that the only motivation found to be a

determining factor in securitization is the generation of another funding

channel. According to that the securitization problem is from an optimization

i t f i fi i t i i i ti bl B t th f


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such that f(x)=y

The according Lagrangian is

The first-order conditions for an interior solution x*are

f(x*)=y

With a little algebra we can estimate the economic and technical rate of

substitution.


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and could reach in total lower average refinancing costs. According to the

conditional factor demand functions that could be derived from this result, the

share of securitization would decrease if the price rises.

Nevertheless could the advantage in refinancing costs vanish, if prices rise

but the same securitization volume is issued. The reason for this behavior

could be a risk-averse intension to maintain the ability to use a broader

refinancing mix. The higher costs compared to banks that change their

refinancing composition, could easily be derived from the assumptions of the

cost function.

We assume that w1 is the gross2 cost parameter for securitization. In the

approach two types of banks are active: securitizing and not securitizing. For

the reason of simplicity both types of banks have the same refinancing costs.

Only the securitization costs could change. If w1 is lower than the average

refinancing costs, the cost of the securitizing bank is lower than of the non-

securitizing bank: . The market changes and

. The non-securitizing banks will not change its refinancing mix


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If x* is the refinancing cost-minimizing bundle of treasury channels at costs

w* and the costs for securitization transactions rises from to , the

securitization proportion would decline. But for investors it is an important

signal of quality that there is some continuity in using treasury channels.

Therefor a bank could decide to keep the securitization issuance and behave

passively and continue to use x*. The new refinancing costs will be

Because of the concavity of c(w,y) the cost function must lie below of the

graph of the post function.


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the securitization cost parameter as gross costs, also performance increases

are explainable with the model.

As a next step we want to investigate if the balance sheet analysis provides

evidence for the approach.

4 Methodology

4.1 The investigated sampleThe objective of this study is to determine the differences between what

factors have been decisive in the development of the European, German and

US securitization market in the period between 1994-2009. According to the

motivations mentioned in the former noted empirical literature, different

balance sheet ratios have been chosen to determine characteristics of the

financial entities. Each year the banks were separated between securitizing

(minimum one transaction) and non-securitizing institutions.

Generally we divide the more than 80 comprised variables into five main

categories: liquidity, risk, regulatory capital, performance and general


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relatively small levels of loans provided, could act as originator for example in

multi-seller frameworks. Also, we investigated just the largest banks because

of the assumed higher relevance for financial market stability.

In the first table the share of securitizing banks is reported for each

investigated region. There is no detailed analysis for different bank

classifications because most of the largest banks are commercial banks.

Structured finance instruments are partially standardized though customized

for the individual needs of the originators. To measure the influence of

structured finance instruments to financial market stability we include a broad

definition of different underlyings for ABS and MBS in the sample. CDOs are

excluded. The data for the individual transactions which are needed to

identify originators via deal lists are collected from different sources like credit

rating agencies, absnet.net, Reuters Financial Datastream, Bloomberg, True

Sale International and with support from DZ Bank.

Afterwards we divide the sample of banks into a group of securitizing banks

d i t f b k th t t t i i t Th l b l


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Receivables/deposits: This ratio shows how much receivables are per

deposit. The higher the ratio, the more illiquid is the bank.

Receivables/total assets: The higher the ratio, the less liquid the bank

will be because more money is lent to third parties.

From a theoretical point of view banks with a shortfall in liquidity should have

a higher probability to securitize. As noted in Cardone-Riportella et al. (2009)

this lack of liquidity would motivate the banks to seek new sources of

financing in the securitization market.

For credit risk the following variables are considered as proxies:

Credit risk provision/net interest income: The higher the ratio, the less

is the portfolio quality. Also it is a risk/performance ratio.

Credit risk provision/impaired loans: This ratio indicates how much

credit risk provision is needed for doubtful loans. The higher the ratio

the poorer the quality of the loan portfolio will be.


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Tier 1 ratio: This is the Basel II capital adequacy ratio. The lower the

ratio, the less new business is possible. Also a lower capital protection

is given.

Total capital ratio: This is Tier 1 capital + Tier 2 capital divided by total

average assets.

Equity/total assets: This ratio measures the protection of the total

assets against losses. The higher the figure the more protection there

is.

Equity/liabilities: Measures the proportion between equity and

liabilities.

A bank has a higher incentive to securitize assets if its regulatory capital is

low. With an efficient risk transfer the financial entity could set regulatory

capital free.

For performance increase the following variables are considered as

i


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(2008) mentioned that the need to improve the banks performance could be

one reason for securitization.

The proxies Total assets and Fixed assets serve as indicators for general

characteristics and will not be explained separately. Due to the high fix costs

of securitization a positive sign is expected.

5 Balance Sheet Analysis

5.1 Empirical findings for Germany, Europe and USAThe results for Germany show a shortfall in liquidity. The interbank ratio is

lower for securitizing banks, i.e. more dependent on liquidity from the

interbank market than banks that did not securitize assets. The proxies for

short term liquidity and for the protection of a bank run, liquid assets/deposits

& short term funding and liquid assets/short term liabilities are both lower

indicating a higher degree of illiquidity than for non-securitizing banks. The

risk proxies allow the assumption that financial entities with higher risk could

use securitization as a credit risk transfer instrument. German securitizing


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Other results could be found for the 250 largest European banks. Beside of

the lower interbank ratio all other liquidity indicators, liquid assets/short term

liabilities, receivables/deposits and receivables/total assets show higher

liquidity for European securitizing banks. This does not mean that

securitization is not an important funding instrument, but maybe other

objectives are more important. Also the risk proxies, credit risk

provision/impaired loans, impaired loans/receivables and equity/receivables

show lower risk concentration for European securitizing banks. Risk transfer

and liquidity could not be marked as important securitization motive, but

regulatory capital arbitrage and performance improvement. Equity/total

assets, equity/liabilities, total capital ratio, and the Tier 1 ratio are all lower

than for non-securitizing banks. The performance proxies, annual net

profit/equity, cost-income-ratio, net interest margin, ROE and ROA are

indicate less profitability for the European securitizing banks. For the sake of

completeness, European banks that are participants on the securitization

market are much bigger. The European banks that securitize present, on

average, higher liquidity, lower risk, lower capital ratios, lower performance,


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Generally, we can state that structured finance instruments have the ability to

be dangerous for financial market stability like other risky securities. But this

is a problem of investor mispricing and regulatory gaps, not of a moral hazard

behavior of originators (at least European). With the Basel III adjustments

regarding due diligence and liquidity / leverage ratios steps in the right

direction were done to reduce the probability of future financial crises,

doubtlessly some regulations are more politically motivated than of empirical

evidence. The question is how efficient and necessary these adjustments

are. If a bank has a good and responsible risk management, the danger of

huge losses due to structured finance instruments or other investment

activities is adjusted on the balance sheet structure. Therefor we just want to

provide some tendencies that we see in the analyzed data.

5.2 ConclusionAll investigated securitizing banks are averagely larger than non-securitizing

banks. Because we investigated just the largest 250 banks in each region, all

of these banks affecting the stability of the worldwide financial markets. As

L h B h ll d i i b k d h fi i l k


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Closing we want to highlight again that these transaction characteristics are

not preventing losses. A healthy transaction like the Rural Hipotecario VIII

had book losses of more than 30 percent. The question is if the book losses

are realized through depreciation or a sale of the asset. This depends on the

calmness and expertise of the bank management.

6 SummaryThe subprime crisis hit the financial and real economy hard with defaults due

to structured finance instruments, especially MBS. But a deeper analysis

provide evidence that securitization performs better than its reputation is.

Many US ABS tranches perform as expected and nearly all European

transactions have at least no defaults in the investment grade tranches.Beside of exogenous motivations to issue structured finance instruments, we

try to find evidence for motivations that could be deduced from balance

sheets like credit risk transfer or regulatory arbitrage. In section two we

provided an overview of the relevant literature on securitization in this

context. Most of the research is based on incentive compatibility problems


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Europe and USA and have therewith significant influence on worldwide

financial market stability. Nevertheless offer the results an insight of the risk

contribution associated with structured finance orientated business models.

The securitizing banks in the USA present on average credit risk transfer and

performance improvement as main motivation to issue structured finance

instruments. This is associated with originate-to-distribute models that have

a lot of incentive compatibility problems and is a potential danger for financial

market stability. The transformation of illiquid into liquid assets is the main

motivation for the German securitizing banks. The self-retention of

securitization transactions is higher for German and European securitizing

banks and reduces therewith the potential for moral hazard behavior.


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Bibliography

Agostino, M. and M. Mazzuca (2008). Why do banks securitize: Evidence

from Italy, XVI Spanish Finance Forum.

Ambrose, B. W., M. Lacour-Little and A.B. Sanders (2005). Does regulatory

capital arbitrage, reputation, or asymmetric information drive securitization?,

Journal of Financial Services Research, 28, 1, pp. 113-133.

Bannier, C.E. and D.N. Hnsel (2008). Determinants of European banks

engagement in loan securitization, Deutsche Bundesbank, Discussion

Paper, Series 2: Banking and Financial Studies, No.10.

Bernardo, A. and B. Cornell (1997). The valuation of complex derivatives by

major investment firms, Journal of Finance, 52, pp. 785-798.

BearingPoint (2009). Studie Zukunft der Verbriefung in Europa,

www.bearingpoint.de/content/industries/index_9251.htm.

Cardone-Riportella, C., R. S. Medina and A.T. Ponce (2009). What do we

know about banks securitization? The Spanish experience, Universidad

Carlos III Economic Working Papers.

DeMarzo, P. and D. Duffie (1999). A liquidity based model of security design,

Econometrica 67, pp. 65-99.

DeMarzo, P. (2005). The pooling and tranching of securities: A model of

informed intermediation, The Review of Financial Studies, 18, 1, pp. 1-35.

Gorton, G.B. and G.G. Pennacchi (1995). Banks and loan sales marketing

nonmarketable assets, Journal of Monetary Economics, 35, pp. 389-411.

L l d H d D P l ( ) I f i i fi i l


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AppendixTable 1: Share of securitizing banks per year

1994 1995 1996 1997 1998 1999 2000 2001

USA Securitizing Banks 25,00% 25,00% 27,70% 28,00% 34,00% 36,50% 40,70% 43,80%

Europe Securitizing Banks 9,20% 7,30% 10,20% 11,40% 13,10% 15,70% 18,50% 20,10%

German Securitizing Banks 14,30% 14,30% 14,30% 14,80% 16,60% 18,80% 23,50% 30,00%

2002 2003 2004 2005 2006 2007 2008 2009

USA Securitizing Banks 43,70% 45,60% 45,90% 48,00% 48,80% 49,00% 49,00% 48,00%

Europe Securitizing Banks 23,20% 26,60% 28,70% 32,00% 33,40% 35,80% 36,10% 38,00%

German Securitizing Banks 34,40% 40,00% 43,40% 42,10% 44,50% 45,00% 45,90% 42,70%


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Table 2: Univariate results for Germany

Germany N Range 5% Percentile 95%Percentile Median Mean Std. Error Std. Dev. P-value

Securitising total assets 480 3,13E+09 1,40E+06 6,42E+08 2,52E+07 1,49E+08 2,99E+08 8,92E+16 0,00

interbank ratio 451 933,44 10,03 377,78 71,31 104,98 133,53 17831 0,00

liquid assets/deposits 463 2,82 0,49 1,22 0,79 0,78 0,25 0,06 0,00

liquid assets/short term liabilities 464 210,24 4,14 110,75 38,90 45,97 34,97 1223 0,00

credit risk provision/net interest income 474 2,93 0,48 1,41 0,65 0,77 0,37 0,14 0,00

fixed assets 459 9,66E+06 2,21E+03 3,58E+06 3,53E+04 6,08E+05 1,50E+06 2,24E+12 0,00

total capital 62 3,97E+07 8,18E+05 3,69E+07 1,56E+07 1,60E+07 1,25E+07 1,56E+14 0,00

Tier 1 ratio 142 25,80 4,70 16,16 7,25 8,80 4,86 23,59 0,00

total capital ratio 135 24,40 8,70 20,33 11,30 12,41 4,33 18,76 0,02net interest margin 477 12,33 0,21 4,20 1,00 1,42 1,37 1,87 0,00

CIR 469 481,66 30,06 98,76 65,90 65,58 30,32 919,27 0,00

Non-securiti total assets 932 6,46E+08 4,71E+06 2,62E+08 1,48E+07 5,25E+07 9,21E+07 8,48E+15

interbank ratio 883 941,69 7,51 541,52 76,45 132,90 168,48 2,84E+04

liquid assets/deposits 905 8,96 0,33 1,21 0,61 0,71 0,47 0,22

liquid assets/short term liabilities 909 777,12 3,63 246,35 27,93 57,90 87,09 7585

credit risk provision/net interest income 927 1,01 0,21 0,99 0,41 0,51 0,28 0,08

fixed assets 926 6,27E+06 4167,00 1,05E+06 7,74E+04 2,34E+05 5,99E+05 3,59E+11

total capital 43 3,68E+07 2647,25 2,69E+07 1,65E+06 6,90E+06 9,92E+06 9,83E+13Tier 1 ratio 174 21,10 4,60 13,65 6,50 7,54 3,19 10,18

total capital ratio 186 21,10 8,40 18,27 10,40 11,50 3,60 12,97

net interest margin 930 51,51 0,33 3,21 1,54 1,79 3,30 10,86

CIR 910 227,99 23,23 85,93 60,01 58,61 21,15 447,28


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Table 3: Univariate results for Europe

Europe N Range 5% Percentile 95%Percentile Median Mean Std. Error Std. Deviation P-value

Securitising total assets 422 3,81E+09 2,13E+07 2,24E+09 3,80E+08 6,33E+08 6,85E+08 4,70E+17 0,00

interbank ratio 299 973,25 23,87 181,93 67,62 85,36 75,53 5705 0,00

liquid assets/short term liabilities 420 888,89 11,18 178,66 47,87 69,73 93,30 8704 0,12

receivables/deposits 394 97,53 4,74 84,56 48,84 47,44 24,39 595,03 0,00

receivables/total assets 384 95,99 2,00 71,35 40,01 37,21 23,39 547,04 0,00

credit risk provision/impaired loans 275 425,70 35,04 168,19 61,13 74,02 55,55 3086 0,00

impaired loans/receivables 282 24,34 0,40 7,50 2,31 2,89 2,42 5,84 0,03

equity/receivables 382 308,69 3,29 85,15 9,07 21,17 49,18 2418 0,03

equity/total assets 422 43,66 0,98 7,56 3,26 3,73 3,41 11,63 0,00

equity/liabilities 422 602,68 1,70 33,57 6,76 12,82 36,89 1361 0,00

total capital ratio 223 18,30 9,20 14,19 11,00 11,30 1,86 3,46 0,00

Tier 1 ratio 279 19,10 6,20 12,30 8,20 8,56 2,03 4,14 0,00

annual net profit/equity 241 291,38 -26,65 16,65 6,82 1,64 24,03 577,58 0,01

CIR 266 260,52 1,00 115,63 61,76 67,78 27,76 770,44 0,00

net interest margin 433 8,56 -0,04 4,00 0,92 1,28 1,38 1,92 0,05

ROE 397 676,59 -28,81 22,86 9,45 3,33 37,90 1437 0,00

ROA 411 13,8 -0,69 1,00 0,32 0,27 0,78 0,60 0,00

Non-securiti total assets 641 1,49E+09 2,30E+06 4,02E+08 4,49E+07 9,67E+07 1,66E+08 2,76E+16

interbank ratio 528 966,19 9,81 442,31 80,63 135,00 158,65 25171

liquid assets/short term liabilities 550 777,07 6,17 189,94 39,84 62,78 86,76 7528

receivables/deposits 522 111,99 18,06 100,13 63,33 61,08 24,75 612,75

receivables/total assets 453 99,54 0,74 88,70 49,66 43,88 27,35 748,08

credit risk provision/impaired loans 218 980,24 25,92 323,51 68,60 103,92 112,17 12581

impaired loans/receivables 237 16,16 0,12 9,45 2,86 3,33 2,87 8,22

equity/receivables 437 605,42 2,00 30,34 8,70 14,94 40,37 1630

equity/total assets 584 85,16 0,83 9,27 4,03 4,91 6,39 40,88

equity/liabilities 567 739,57 3,12 57,65 7,50 22,78 73,91 5462

total capital ratio 406 223,40 8,40 20,93 11,60 14,43 18,00 324,01

Tier 1 ratio 302 114,00 5,52 17,72 8,50 10,37 10,38 107,80

annual net profit/equity 254 180,85 -3,20 20,60 5,08 5,60 11,94 142,67

CIR 360 320,02 17,40 87,80 57,26 56,58 27,33 747,15

net interest margin 519 9,00 0,17 3,54 1,09 1,42 1,28 1,65

ROE 374 207,93 -2,99 27,41 9,39 10,10 13,28 176,33

ROA 544 10,58 -0,09 1,55 0,35 0,46 0,71 0,50


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Table 4: Univariate results for USA

US N Range 5% Percentile 95%Percentile Median Mean Std. Error Std. Deviation P-valueSecuritising total assets 609 2,18E+09 4,24E+06 7,56E+08 4,10E+07 1,53E+08 2,76E+08 7,63E+16 0,00

credit risk provision/impaired loans 496 902,70 30,26 642,34 227,60 261,28 178,73 31946 0,35

impaired loans/receivables 526 20,80 0,08 3,62 0,59 1,19 2,15 4,62 0,00

equity/receivables 585 990,99 9,08 75,48 14,09 26,66 63,26 4001 0,00

subordinated liabilities/equity 310 40,81 2,43 32,94 19,30 18,55 9,62 92,52 0,00

annual net profit/equity 585 439,11 -12,81 18,64 7,34 4,95 21,16 447,87 0,13

CIR 602 698,98 16,29 91,41 60,37 61,86 40,57 1646 0,21

net interest margin 608 21,76 0,56 6,96 3,52 3,51 2,15 4,61 0,02

ROA 514 53,81 -0,87 5,05 1,77 1,63 2,99 8,95 0,43

Tier 1 ratio 499 395,90 7,00 27,20 9,10 12,99 24,37 593,84 0,05liquidity ratios 602 806,58 2,29 66,98 9,21 20,06 40,47 1638 0,00

Non total assets 1038 6,68E+08 1,50E+06 9,04E+07 1,22E+07 2,67E+07 4,62E+07 2,14E+15

securitising credit risk provision/impaired loans 896 950,83 36,94 691,06 201,16 257,31 197,51 39010

impaired loans/receivables 970 18,69 0,10 2,53 0,54 0,85 1,05 1,11

equity/receivables 1032 294,51 8,53 35,01 13,30 17,71 21,73 472,40

subordinated liabilities/equity 474 82,56 2,77 30,87 15,16 15,99 10,67 113,76

annual net profit/equity 1005 607,45 -8,90 18,21 8,26 6,17 20,90 436,75

CIR 1033 563,72 35,58 79,36 57,86 60,27 33,85 1146

net interest margin 1035 15,04 1,46 6,29 3,70 3,73 1,56 2,44ROA 900 25,95 -0,08 3,63 1,72 1,65 1,83 3,34

Tier 1 ratio 930 146,91 7,00 18,10 10,10 11,15 6,25 39,02

liquidity ratios 1021 721,99 1,23 36,16 6,11 12,61 37,04 1372

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Determinants of Structured Finance Issuance